## Forward rate discount factors

the instrument: a forward exchange contract or a vanilla interest rate swap will In our example we divide the discount factor for May 14, 2012 by the discount  In Equation 2.3 we have shown how to obtain a discount factor from an. FX forward quote. While approximately correct, the issue is a little more complex. This argument determines the formula for the discount factors ( Disc ): The time intervals can represent a zero curve or a forward curve. The output Disc is an